国际股票市场收益率和波动率的长记忆性研究

股票市场长记忆性问题是金融学研究的一个热点问题,对于市场有效性的研究和系统非线性结构的分析有着重要的意义。本文运用修正R/S分析和V/S分析两种方法对世界上28个国家(地区)的股票指数的日、周收益序列和日、周收益波动序列进行了完整的长记忆性研究。结果表明:对于收益序列,以美国为代表的大多数发达国家股市一般不存在长记忆性,而中国等发展中国家大多存在显著的长记忆性,尤其中国股市的长记忆性最强;对于收益波动序列,所有国家(地区)都具有长记忆性,并强于收益序列。

Research on Long Memory in International Stock Returns and Its Volatility

Long memory effect in stock market is a hot topic in financial research,and it is important to the analysis of market efficiency and structure of nonlinear system.This paper studies the long memory in daily and weekly stock index returns and volatility of 28 countries and regions with modified R/S and V/S analysis methods.Results show that in stock returns long memory doesn't exist in most developed countries such as America and that it exists in developing countries such as China.In particular,long memory in China stock market is the strongest.In stock volatility,all countries and regions show long memory,and are stronger than stock returns.